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The ATR extensions are one of my favorites too. All of the published material is for intra-day trading and I dont know if you have tried this but the same concepts are very interesting to study on higher session durations like weekly, monthly and quarterly. I actually came across these ideas in another forum. You can play around with what makes up the OR depending upon the market. For commodities futures on CME, I have experimented with ORs starting Sunday night until Monday morning for a weekly session or the first day of the month for a monthly session. Quarterly sessions are more suited to spreads since they are generally less volatile and trend more than outright futures. You can use something like the first week of the quarter for your OR. Its very interesting to see that these higher duration ATRs behave very similarly to the daily. MF has talked about his yearly ACD strategy on MSNBC (or CNBC?) a couple of times. He used the first 2 weeks of January (and July if I am not mistaken) to trade the 2 halves of the year. Anyway, just thought I would share in case you havent tried these out yet.